IDEAS home Printed from https://ideas.repec.org/r/eee/phsmap/v407y2014icp86-99.html
   My bibliography  Save this item

An analysis of stock market efficiency: Developed vs Islamic stock markets using MF-DFA

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. El Mehdi, Imen Khanchel & Mghaieth, Asma, 2017. "Volatility spillover and hedging strategies between Islamic and conventional stocks in the presence of asymmetry and long memory," Research in International Business and Finance, Elsevier, vol. 39(PA), pages 595-611.
  2. Onur Özdemir & Anoop S. Kumar, 2024. "Dynamic Efficiency and Herd Behavior During Pre- and Post-COVID-19 in the NFT Market: Evidence from Multifractal Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1255-1279, March.
  3. Tao Yin & Yiming Wang, 2021. "Nonlinear analysis and prediction of soybean futures," Agricultural Economics, Czech Academy of Agricultural Sciences, vol. 67(5), pages 200-207.
  4. repec:idn:journl:v:1:y:2019:i:sp4:p:1-16 is not listed on IDEAS
  5. Taher, Sumaiyah & Masih, Mansur, 2018. "Which market is the driver of the Asian stock markets ?," MPRA Paper 107975, University Library of Munich, Germany.
  6. Naeem, Muhammad Abubakr & Bouri, Elie & Peng, Zhe & Shahzad, Syed Jawad Hussain & Vo, Xuan Vinh, 2021. "Asymmetric efficiency of cryptocurrencies during COVID19," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 565(C).
  7. Zhang, Guofu & Li, Jingjing, 2018. "Multifractal analysis of Shanghai and Hong Kong stock markets before and after the connect program," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 611-622.
  8. Stosic, Dusan & Stosic, Darko & de Mattos Neto, Paulo S.G. & Stosic, Tatijana, 2019. "Multifractal characterization of Brazilian market sectors," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 525(C), pages 956-964.
  9. Nafis Alam & Shaista Arshad & Syed Aun R. Rizvi, 2016. "Do Islamic stock indices perform better than conventional counterparts? An empirical investigation of sectoral efficiency," Review of Financial Economics, John Wiley & Sons, vol. 31(1), pages 108-114, November.
  10. Chenyu Han & Yiming Wang & Yingying Xu, 2019. "Efficiency and Multifractality Analysis of the Chinese Stock Market: Evidence from Stock Indices before and after the 2015 Stock Market Crash," Sustainability, MDPI, vol. 11(6), pages 1-15, March.
  11. Naseem Al Rahahleh & Ahmed Al Qurashi, 2024. "The impact of COVID-19 on Ethereum returns and Ethereum market efficiency," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 14(3), pages 729-755, September.
  12. Lee, Minhyuk & Song, Jae Wook & Kim, Sondo & Chang, Woojin, 2018. "Asymmetric market efficiency using the index-based asymmetric-MFDFA," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 512(C), pages 1278-1294.
  13. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan Imran & Dan Zhao & Tianxiao Li & Faiz Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
  14. Amélie Charles & Olivier Darné & Jae H Kim, 2017. "Adaptive Markets Hypothesis for Islamic Stock Portfolios: Evidence from Dow Jones Size and Sector-Indices," Post-Print hal-01526483, HAL.
  15. Zhang, Shuchang & Guo, Yaoqi & Cheng, Hui & Zhang, Hongwei, 2021. "Cross-correlations between price and volume in China's crude oil futures market: A study based on multifractal approaches," Chaos, Solitons & Fractals, Elsevier, vol. 144(C).
  16. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "The influence of trading volume on market efficiency: The DCCA approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 259-265.
  17. Goddard, John & Onali, Enrico, 2016. "Long memory and multifractality: A joint test," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 451(C), pages 288-294.
  18. Arshad, Shaista & Rizvi, Syed Aun R. & Haroon, Omair & Mehmood, Fahad & Gong, Qiang, 2021. "Are oil prices efficient?," Economic Modelling, Elsevier, vol. 96(C), pages 362-370.
  19. Charles, Amélie & Darné, Olivier & Kim, Jae H., 2017. "Adaptive markets hypothesis for Islamic stock indices: Evidence from Dow Jones size and sector-indices," International Economics, Elsevier, vol. 151(C), pages 100-112.
  20. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 41-54.
  21. Shaista Arshad, 2017. "Analysing the Relationship between Oil Prices and Islamic Stock Markets," Economic Papers, The Economic Society of Australia, vol. 36(4), pages 429-443, December.
  22. Tiwari, Aviral Kumar & Albulescu, Claudiu Tiberiu & Yoon, Seong-Min, 2017. "A multifractal detrended fluctuation analysis of financial market efficiency: Comparison using Dow Jones sector ETF indices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 483(C), pages 182-192.
  23. Guo, Yaoqi & Yao, Shanshan & Cheng, Hui & Zhu, Wensong, 2020. "China's copper futures market efficiency analysis: Based on nonlinear Granger causality and multifractal methods," Resources Policy, Elsevier, vol. 68(C).
  24. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur. M., 2015. "Developing trading strategies based on fractal finance: An application of MF-DFA in the context of Islamic equities," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 438(C), pages 223-235.
  25. Stefán B. Gunnlaugsson, 2018. "Trading Rules On A Small Stock Market," Oradea Journal of Business and Economics, University of Oradea, Faculty of Economics, vol. 3(1), pages 46-55, March.
  26. Rizvi, Syed Aun R. & Arshad, Shaista & Alam, Nafis, 2018. "A tripartite inquiry into volatility-efficiency-integration nexus - case of emerging markets," Emerging Markets Review, Elsevier, vol. 34(C), pages 143-161.
  27. Ali, Sajid & Shahzad, Syed Jawad Hussain & Raza, Naveed & Al-Yahyaee, Khamis Hamed, 2018. "Stock market efficiency: A comparative analysis of Islamic and conventional stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 503(C), pages 139-153.
  28. Faheem Aslam & Paulo Ferreira & Haider Ali & Sumera Kauser, 2022. "Herding behavior during the Covid-19 pandemic: a comparison between Asian and European stock markets based on intraday multifractality," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(2), pages 333-359, June.
  29. Yun-Jung Lee & Neung-Woo Kim & Ki-Hong Choi & Seong-Min Yoon, 2020. "Analysis of the Informational Efficiency of the EU Carbon Emission Trading Market: Asymmetric MF-DFA Approach," Energies, MDPI, vol. 13(9), pages 1-14, May.
  30. Uddin, Gazi Salah & Hernandez, Jose Areola & Shahzad, Syed Jawad Hussain & Yoon, Seong-Min, 2018. "Time-varying evidence of efficiency, decoupling, and diversification of conventional and Islamic stocks," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 167-180.
  31. Niu, Hongli & Wang, Jun & Lu, Yunfan, 2016. "Fluctuation behaviors of financial return volatility duration," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 30-40.
  32. Wang, Qizhen & Zhu, Yingming & Yang, Liansheng & Mul, Remco A.H., 2017. "Coupling detrended fluctuation analysis of Asian stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 337-350.
  33. Arshad, Shaista & Rizvi, Syed Aun R., 2015. "The troika of business cycle, efficiency and volatility. An East Asian perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 419(C), pages 158-170.
  34. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
  35. Fan, Xinghua & Lv, Xiangxiang & Yin, Jiuli & Tian, Lixin & Liang, Jiaochen, 2019. "Multifractality and market efficiency of carbon emission trading market: Analysis using the multifractal detrended fluctuation technique," Applied Energy, Elsevier, vol. 251(C), pages 1-1.
  36. Salisu, Afees A. & Ndako, Umar B. & Adediran, Idris A. & Swaray, Raymond, 2020. "A fractional cointegration VAR analysis of Islamic stocks: A global perspective," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  37. Mensi, Walid & Hamdi, Atef & Shahzad, Syed Jawad Hussain & Shafiullah, Muhammad & Al-Yahyaee, Khamis Hamed, 2018. "Modeling cross-correlations and efficiency of Islamic and conventional banks from Saudi Arabia: Evidence from MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 502(C), pages 576-589.
  38. Aslam, Faheem & Zil-e-huma, & Bibi, Rashida & Ferreira, Paulo, 2022. "Cross-correlations between economic policy uncertainty and precious and industrial metals: A multifractal cross-correlation analysis," Resources Policy, Elsevier, vol. 75(C).
  39. Naeem, Muhammad Abubakr & Farid, Saqib & Ferrer, Román & Shahzad, Syed Jawad Hussain, 2021. "Comparative efficiency of green and conventional bonds pre- and during COVID-19: An asymmetric multifractal detrended fluctuation analysis," Energy Policy, Elsevier, vol. 153(C).
  40. Arshad, Shaista & Rizvi, Syed Aun R. & Ghani, Gairuzazmi Mat & Duasa, Jarita, 2016. "Investigating stock market efficiency: A look at OIC member countries," Research in International Business and Finance, Elsevier, vol. 36(C), pages 402-413.
  41. Li, Songsong & Xu, Nan & Hui, Xiaofeng, 2020. "International investors and the multifractality property: Evidence from accessible and inaccessible market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 559(C).
  42. Syeda Tayyaba Ijaz & Rabia Komal, 2015. "Role Of Hurst Exponent In Prediction Of Market Efficiency In Kse-100 Index," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 11(2), pages 11-14.
  43. Raza, Syed Ali & Shah, Nida & Suleman, Muhammed Tahir, 2024. "A multifractal detrended fluctuation analysis of Islamic and conventional financial markets efficiency during the COVID-19 pandemic," International Economics, Elsevier, vol. 177(C).
  44. Ni, Yensen & Day, Min-Yuh & Huang, Paoyu & Yu, Shang-Ru, 2020. "The profitability of Bollinger Bands: Evidence from the constituent stocks of Taiwan 50," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 551(C).
  45. Qin, Jing & Lu, Xinsheng & Zhou, Ying & Qu, Ling, 2015. "The effectiveness of China’s RMB exchange rate reforms: An insight from multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 421(C), pages 443-454.
  46. Lin, Yong & Wang, Renyu & Gong, Xingyue & Jia, Guozhu, 2022. "Cross-correlation and forecast impact of public attention on USD/CNY exchange rate: Evidence from Baidu Index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 604(C).
  47. Deniz Erer & Elif Erer & Selim Güngör, 2023. "The aggregate and sectoral time-varying market efficiency during crisis periods in Turkey: a comparative analysis with COVID-19 outbreak and the global financial crisis," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-25, December.
  48. Gajardo, Gabriel & Kristjanpoller, Werner D. & Minutolo, Marcel, 2018. "Does Bitcoin exhibit the same asymmetric multifractal cross-correlations with crude oil, gold and DJIA as the Euro, Great British Pound and Yen?," Chaos, Solitons & Fractals, Elsevier, vol. 109(C), pages 195-205.
  49. Al-Khazali, Osamah & Mirzaei, Ali, 2017. "Stock market anomalies, market efficiency and the adaptive market hypothesis: Evidence from Islamic stock indices," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 51(C), pages 190-208.
  50. Jiang, Jiaqi & Gu, Rongbao, 2016. "Using Rényi parameter to improve the predictive power of singular value decomposition entropy on stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 448(C), pages 254-264.
  51. Hooi Hooi Lean & Vinod Mishra & Russell Smyth, 2015. "Is investing in Islamic stocks profitable? Evidence from the Dow Jones Islamic market indexes," Monash Economics Working Papers 33-15, Monash University, Department of Economics.
  52. Faheem Aslam & Wahbeeah Mohti & Paulo Ferreira, 2020. "Evidence of Intraday Multifractality in European Stock Markets during the Recent Coronavirus (COVID-19) Outbreak," IJFS, MDPI, vol. 8(2), pages 1-13, May.
  53. Alexakis, Christos & Kenourgios, Dimitris & Pappas, Vasileios & Petropoulou, Athina, 2021. "From dotcom to Covid-19: A convergence analysis of Islamic investments," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 75(C).
  54. Shahzad, Syed Jawad Hussain & Nor, Safwan Mohd & Mensi, Walid & Kumar, Ronald Ravinesh, 2017. "Examining the efficiency and interdependence of US credit and stock markets through MF-DFA and MF-DXA approaches," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 351-363.
  55. Gu, Rongbao & Xiong, Wei & Li, Xinjie, 2015. "Does the singular value decomposition entropy have predictive power for stock market? — Evidence from the Shenzhen stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 439(C), pages 103-113.
  56. Gupta, Suman & Das, Debojyoti & Hasim, Haslifah & Tiwari, Aviral Kumar, 2018. "The dynamic relationship between stock returns and trading volume revisited: A MODWT-VAR approach," Finance Research Letters, Elsevier, vol. 27(C), pages 91-98.
  57. Tiwari, Aviral Kumar & Aye, Goodness C. & Gupta, Rangan, 2019. "Stock market efficiency analysis using long spans of Data: A multifractal detrended fluctuation approach," Finance Research Letters, Elsevier, vol. 28(C), pages 398-411.
  58. Wang, Jian & Huang, Menghao & Wu, Xinpei & Kim, Junseok, 2023. "A local fitting based multifractal detrend fluctuation analysis method," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
  59. Cristina Sattarhoff & Marc Gronwald, 2018. "How to Measure Financial Market Efficiency? A Multifractality-Based Quantitative Approach with an Application to the European Carbon Market," CESifo Working Paper Series 7102, CESifo.
  60. Jasman Tuyon & Zamri Ahmada, 2016. "Behavioural finance perspectives on Malaysian stock market efficiency," Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul, vol. 16(1), pages 43-61, March.
  61. Tao Yin & Yiming Wang, 2021. "Market Efficiency and Nonlinear Analysis of Soybean Futures," Sustainability, MDPI, vol. 13(2), pages 1-10, January.
  62. Ben Moews & Gbenga Ibikunle, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Papers 2002.10385, arXiv.org.
  63. Wang, Qizhen, 2019. "Multifractal characterization of air polluted time series in China," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 514(C), pages 167-180.
  64. Bouoiyour, Jamal & Selmi, Refk & Wohar, Mark E., 2018. "Are Islamic stock markets efficient? A multifractal detrended fluctuation analysis," Finance Research Letters, Elsevier, vol. 26(C), pages 100-105.
  65. Memon, Bilal Ahmed & Yao, Hongxing & Naveed, Hafiz Muhammad, 2022. "Examining the efficiency and herding behavior of commodity markets using multifractal detrended fluctuation analysis. Empirical evidence from energy, agriculture, and metal markets," Resources Policy, Elsevier, vol. 77(C).
  66. Dewandaru, Ginanjar & Rizvi, Syed Aun R. & Masih, Rumi & Masih, Mansur & Alhabshi, Syed Othman, 2014. "Stock market co-movements: Islamic versus conventional equity indices with multi-timescales analysis," Economic Systems, Elsevier, vol. 38(4), pages 553-571.
  67. Mensi, Walid & Tiwari, Aviral Kumar & Yoon, Seong-Min, 2017. "Global financial crisis and weak-form efficiency of Islamic sectoral stock markets: An MF-DFA analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 471(C), pages 135-146.
  68. Mnif, Emna & Jarboui, Anis & Mouakhar, Khaireddine, 2020. "How the cryptocurrency market has performed during COVID 19? A multifractal analysis," Finance Research Letters, Elsevier, vol. 36(C).
  69. Moews, Ben & Ibikunle, Gbenga, 2020. "Predictive intraday correlations in stable and volatile market environments: Evidence from deep learning," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 547(C).
  70. Gajardo, Gabriel & Kristjanpoller, Werner, 2017. "Asymmetric multifractal cross-correlations and time varying features between Latin-American stock market indices and crude oil market," Chaos, Solitons & Fractals, Elsevier, vol. 104(C), pages 121-128.
  71. Osamah AlKhazali & Hooi Hooi Lean & Taisier Zoubi, 2022. "The Size Anomaly in Islamic Stock Indices: A Stochastic Dominance Approach," IJFS, MDPI, vol. 10(4), pages 1-14, November.
  72. Dong Liu & Mingjie Luo & Qiang Fu & Yongjia Zhang & Khan M. Imran & Dan Zhao & Tianxiao Li & Faiz M. Abrar, 2016. "Precipitation Complexity Measurement Using Multifractal Spectra Empirical Mode Decomposition Detrended Fluctuation Analysis," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(2), pages 505-522, January.
  73. Jamal Bouoiyour & Refk Selmi & Olivier Hueber, 2019. "Low on Trust and High on Risks: Is Sidechain a Good Solution to Bitcoin Problems?," Working Papers hal-02348406, HAL.
  74. Shaista Arshad & Omair Haroon & Syed Aun R. Rizvi, 2019. "Understanding Asian Emerging Stock Markets," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 21(12th BMEB), pages 495-510, January.
  75. Sierra-Porta, D. & Domínguez-Monterroza, Andy-Rafael, 2022. "Linking cosmic ray intensities to cutoff rigidity through multifractal detrented fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 607(C).
  76. Rizvi, Syed Aun R. & Arshad, Shaista, 2017. "Analysis of the efficiency–integration nexus of Japanese stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 470(C), pages 296-308.
  77. Aloui, Chaker & Shahzad, Syed Jawad Hussain & Jammazi, Rania, 2018. "Dynamic efficiency of European credit sectors: A rolling-window multifractal detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 506(C), pages 337-349.
  78. Lee, Minhyuk & Song, Jae Wook & Park, Ji Hwan & Chang, Woojin, 2017. "Asymmetric multi-fractality in the U.S. stock indices using index-based model of A-MFDFA," Chaos, Solitons & Fractals, Elsevier, vol. 97(C), pages 28-38.
  79. Sukpitak, Jessada & Hengpunya, Varagorn, 2016. "Efficiency of Thai stock markets: Detrended fluctuation analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 458(C), pages 204-209.
  80. Khurshid, Adnan & Khan, Khalid & Cifuentes-Faura, Javier & Chen, Yufeng, 2024. "Asymmetric multifractality: Comparative efficiency analysis of global technological and renewable energy prices using MFDFA and A-MFDFA approaches," Energy, Elsevier, vol. 289(C).
  81. Mr. M. Awais Mehmood & Dr. Faisal Aftab & Dr. Hafiz Mushtaq, 2016. "Role Of Social Media Marketing (Smm) In Hei’S Admission," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 12(1), pages 12-10.
  82. Abdullah, Mohammad & Chowdhury, Mohammad Ashraful Ferdous & Sulong, Zunaidah, 2023. "Asymmetric efficiency and connectedness among green stocks, halal tourism stocks, cryptocurrencies, and commodities: Portfolio hedging implications," Resources Policy, Elsevier, vol. 81(C).
  83. Saâdaoui, Foued, 2018. "Testing for multifractality of Islamic stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 496(C), pages 263-273.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.